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~isPartOf:"Econometric reviews"
~isPartOf:"Quantitative finance"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Option pricing theory
Stochastic process
Volatility
360
Volatilität
360
Optionspreistheorie
144
Stochastischer Prozess
142
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124
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124
Estimation
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McAleer, Michael
7
Asai, Manabu
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Gatheral, Jim
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Radoičić, Radoš
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3
Chatterjee, Rupak
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Horvath, Blanka Nora
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Econometric reviews
Quantitative finance
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
178
Journal of econometrics
122
Journal of banking & finance
90
Applied mathematical finance
87
The journal of futures markets
84
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73
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The North American journal of economics and finance : a journal of financial economics studies
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International review of economics & finance : IREF
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Journal of risk and financial management : JRFM
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Review of quantitative finance and accounting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International review of financial analysis
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ECONIS (ZBW)
206
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11
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
12
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
13
Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.
;
Ngo, Julie T. D.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
Saved in:
14
Physics-informed convolutional transformer for predicting volatility surface
Kim, Soohan
;
Yun, Seok-Bae
;
Bae, Hyeong-Ohk
;
Lee, Muhyun
; …
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 203-220
Persistent link: https://www.econbiz.de/10014551964
Saved in:
15
A generalization of the rational rough Heston approximation
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 329-335
Persistent link: https://www.econbiz.de/10014551997
Saved in:
16
Implied roughness in the term structure of oil market volatility
Alfeus, Mesias
;
Nikitopoulos, Christina Sklibosios
; …
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
Saved in:
17
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
Saved in:
18
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
19
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
Saved in:
20
Effective stochastic local volatility models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1731-1750
Persistent link: https://www.econbiz.de/10014452467
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